Multivariate Markov-switching score-driven models: an application to the global crude oil market
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Publication:2700546
DOI10.1515/snde-2020-0099OpenAlexW3159741828MaRDI QIDQ2700546
Adrian Licht, Szabolcs Blazsek, Alvaro Escribano
Publication date: 27 April 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2020-0099
structural changesscore-driven modelsglobal crude oil marketMarkov regime-switching modelsnonlinear co-integration
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cites Work
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